Assume that the risk-free rate is 3.5% and the market risk premium is 2.5%. Given this information, which of the following statements is CORRECT?

a. An index fund with beta = 1.0 should have a required return less than 6.0%

b. If a stock's beta doubles, its required return must also double

c. An index fund with beta = 1.0 should have a required return greater than 6.0%

d. An index fund with beta = 1.0 should have a required return of 6.0%

e. If a stock has a negative beta, its required return must also be negative